xQUARTERLY REPORT PURSUANT TO SECTION 13 OR
15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTER ENDED SEPTEMBER 30,
2009

oTRANSITION REPORT PURSUANT TO SECTION 13 OR
15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

COMMISSION FILE NUMBER: 000-51233

GLADSTONE INVESTMENT CORPORATION

(Exact name of registrant as specified in its charter)

DELAWARE

83-0423116

(State or other jurisdiction of incorporation or
organization)

(I.R.S. Employer Identification No.)

1521 WESTBRANCH DRIVE, SUITE 200

MCLEAN, VIRGINIA 22102

(Address of principal executive office)

(703) 287-5800

(Registrants telephone number, including area code)

Indicate by check mark whether the
registrant (1) has filed all reports required to be filed by Section 13
or 15(d) of the Securities Exchange Act of 1934 during the preceding 12
months (or for such shorter period that the registrant was required to file
such reports), and (2) has been subject to such filing requirements for
the past 90 days. Yes x
No o.

Indicate by check mark whether the
registrant has submitted electronically and posted on its corporate Web site,
if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or
for such shorter period that the registrant was required to submit and post
such files). Yes o
No o

Indicate by check mark whether the
registrant is a large accelerated filer, an accelerated filer, a
non-accelerated filer or a smaller reporting company. See the definitions of large accelerated
filer, accelerated filer, and smaller reporting company in Rule 12
b-2 of the Exchange Act.

Large accelerated filer o

Accelerated filer x

Non-accelerated filer o

Smaller reporting company o.

Indicate by check mark whether the
registrant is a shell company (as defined in Rule 12b-2 of the Exchange
Act). Yes o
No x .

Indicate the number of shares outstanding of each of the issuers classes
of common stock, as of the latest practicable date. The number of shares of the
issuers Common Stock, $0.001 par value, outstanding as of November 2,
2009 was 22,080,133.

THE
ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE CONDENSED CONSOLIDATED
FINANCIAL STATEMENTS

3

GLADSTONE INVESTMENT CORPORATION

CONDENSED CONSOLIDATED SCHEDULES OF
INVESTMENTS

AS OF SEPTEMBER 30, 2009

(DOLLAR AMOUNTS IN THOUSANDS)

(UNAUDITED)

Company (1)

Industry

Investment (2)

Cost

Fair Value

NON-CONTROL/NON-AFFILIATE
INVESTMENTS:

Senior Syndicated
Loans:

HMTBP Acquisition II Corp.

Service  aboveground storage tanks

Senior Term Debt (2.6%, Due 5/2014) (7), (8)

$

3,819

$

3,064

Interstate Fibernet, Inc.

Service  provider of voice and data
telecommunications services

Senior Term Debt (4.3%, Due 7/2013) (7), (9)

9,758

7,929

Survey Sampling, LLC

Service  telecommunications-based sampling

Senior Term Debt (9.5%, Due 5/2011) (3)

2,409

958

Subtotal - Syndicated Loans

$

15,986

$

11,951

Non-syndicated
Loans:

American Greetings Corporation

Manufacturing and design  greeting cards

Senior Notes (7.4%, Due 6/2016) (3)

$

3,043

$

2,588

B-Dry, LLC

Service  basement waterproofer

Senior Term Debt (13.0%, Due 5/2014) (5)

6,647

6,589

Senior Term Debt (13.0%, Due 5/2014) (5)

3,910

3,876

Common Stock Warrants (4)

300



10,857

10,465

Total
Non-Control/Non-Affiliate Investments

$

29,886

$

25,004

CONTROL
INVESTMENTS:

A. Stucki Holding Corp.

Manufacturing  railroad freight car products

Senior Term Debt (4.8%, Due 3/2012)

$

9,101

$

9,101

Senior Term Debt (7.0%, Due 3/2012) (6)

9,900

9,900

Senior Subordinated Term Debt (13.0%, Due 3/2014)

8,586

8,586

Preferred Stock (4)

4,387

5,333

Common Stock (4)

130

3,511

32,104

36,431

Acme
Cryogenics, Inc.

Manufacturing 
manifolds and pipes for industrial gasses

Senior Subordinated Term Debt (11.5%, Due 3/2012)

14,500

14,500

Preferred Stock (4)

6,984

3,828

Common Stock (4)

1,045



Common Stock Warrants (4)

24



22,553

18,328

ASH Holdings Corp.

Retail and Service 
school buses and parts

Revolver, $1,500 available (non-accrual, Due 3/2010)
(5)

500

150

Senior Subordinated Term Debt (non-accrual, Due
1/2012) (5)

5,937

1,484

Preferred Stock (4)

2,500



Common Stock Warrants (4)

4



8,941

1,634

Cavert II Holdings Corp.

Manufacturing  bailing
wire

Senior Term Debt (8.3%, Due 10/2012)

2,875

2,875

Senior Term Debt (10.0%, Due 10/2012) (6)

2,700

2,700

Senior Subordinated Term Debt (13.0%, Due 10/2014)

4,671

4,671

Preferred Stock (4)

4,110

4,769

Common Stock (4)

69

1,334

14,425

16,349

Chase II Holdings Corp.

Manufacturing  traffic
doors

Revolving Credit Facility, $0 available (4.3%, Due
7/2010) (10)

3,500

3,500

Senior Term Debt (8.8%, Due 3/2011)

8,250

8,250

Senior Term Debt (12.0%, Due 3/2011) (6)

7,600

7,600

Senior Subordinated Term Debt (13.0%, Due 3/2013)

6,168

6,168

Preferred Stock (4)

6,961

9,765

Common Stock (4)

61

670

32,540

35,953

4

GLADSTONE INVESTMENT CORPORATION

CONDENSED CONSOLIDATED SCHEDULES OF
INVESTMENTS (Continued)

AS OF SEPTEMBER 30, 2009

(DOLLAR AMOUNTS IN THOUSANDS)

(UNAUDITED)

Company (1)

Industry

Investment (2)

Cost

Fair Value

CONTROL
INVESTMENTS (Continued):

Country Club Enterprises, LLC

Service  golf cart distribution

Subordinated Term Debt (14.0%, Due 11/2014) (5)

$

7,000

$

6,842

Preferred Stock (4)

3,725



10,725

6,842

Galaxy Tool Holding Corp.

Manufacturing  aerospace and plastics

Senior Subordinated Term Debt (13.5%, Due 8/2013) (5)

17,250

16,862

Preferred Stock (4)

4,112



Common Stock (4)

48



21,410

16,862

Total Control Investments

$

142,698

$

132,399

AFFILIATE
INVESTMENTS:

Danco Acquisition Corp.

Manufacturing  machining and sheet metal work

Revolving Credit Facility, $2,100 available (9.3%,
Due 10/2010) (5)

$

900

$

878

Senior Term Debt (9.3%, Due 10/2012) (5)

4,312

4,215

Senior Term Debt (11.5%, Due 4/2013) (5)

9,067

8,727

Preferred Stock (4)

2,500



Common Stock Warrants (4)

2



16,781

13,820

Mathey Investments, Inc.

Manufacturing  pipe-cutting and pipe-fitting
equipment

Revolving Credit Facility, $250 available (10.0%, Due
3/2011) (5)

750

747

Senior Term Debt (10.0%, Due 3/2013) (5)

2,375

2,366

Senior Term Debt (13.5%, Due 3/2014) (5), (6)

7,227

7,137

Common Stock (4)

500



Common Stock Warrants (4)

277



11,129

10,250

Noble Logistics, Inc.

Service  aftermarket auto parts delivery

Revolving Credit Facility, $0 available (4.3%, Due
12/2009) (5)

2,000

1,300

Senior Term Debt (9.3%, Due 12/2011) (5)

6,227

4,048

Senior Term Debt (10.5%, Due 12/2011) (5) (6)

7,300

4,745

Preferred Stock (4)

1,750



Common Stock (4)

1,682



18,959

10,093

Quench Holdings Corp.

Service  sales, installation and service of water
coolers

Senior Subordinated Term Debt (10.0%, Due 8/2013) (5)

8,000

6,240

Preferred Stock (4)

2,950

1,378

Common Stock (4)

447



11,397

7,618

Tread Corp.

Manufacturing  storage and transport equipment

Senior Term Debt (12.5%, Due 5/2013) (5)

5,000

4,962

Preferred Stock (4)

750

157

Common Stock & Debt Warrants (4)

3



5,753

5,119

Total Affiliate Investments

$

64,019

$

46,900

TOTAL INVESTMENTS

$

236,603

$

204,303

5

(1)

Certain of the listed securities are issued by affiliate(s) of
the indicated portfolio company.

(2)

Percentage represents the weighted average interest rates in effect at
September 30, 2009, and due date represents the contractual maturity
date.

(3)

Valued based on the indicative bid price on or near September 30,
2009, offered by the respective syndication agents trading desk or secondary
desk.

(4)

Security is non-income producing.

(5)

Fair value based on opinions of value submitted by Standard &
Poors Securities Evaluations, Inc. at September 30, 2009.

(6)

Last Out Tranche of senior debt, meaning if the portfolio company is
liquidated, the holder of the Last Out Tranche is paid after the senior debt.

(7)

Security valued based on the sale price obtained at or subsequent to
September 30, 2009, as the security, or a portion of it, was sold.

(8)

Security was sold subsequent to quarter-end; approximately $3.1
million of cash proceeds was received, and a realized loss of $757 was
recorded.

(9)

A portion of this security, approximately $3.0 million in principal,
was sold subsequent to quarter-end. Approximately $2.4 million of cash
proceeds was received, and a realized loss of $561 was recorded.

(10)

Revolving credit facility was repaid in full and sold to a third party
subsequent to quarter-end.

THE ACCOMPANYING NOTES ARE AN
INTEGRAL PART OF THESE CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

Fair value based on opinions of value submitted by Standard &
Poors Securities Evaluations, Inc. at March 31, 2009.

(6)

Last Out Tranche of senior debt, meaning if the portfolio company is
liquidated, the holder of the Last Out Tranche is paid after the senior debt.

(7)

Security valued based on the sale price obtained at or subsequent to
March 31, 2009, since the security was sold.

(8)

Revolver was sold to third party subsequent to March 31, 2009.

(9)

Terms of agreement were refinanced and revolver limit was reduced.

(10)

The Company received non-cash assumption of $3,043 worth of senior
notes received from American Greetings Corporation for the Companys
agreement to the RPG bankruptcy settlement in which the Company received the
aforementioned notes and $909 in cash and recognized a loss on the settlement
of approximately $601.

THE ACCOMPANYING NOTES ARE AN
INTEGRAL PART OF THESE CONDENSED CONSOLIDATED FINANCIAL STATEMENTS.